Economics at your fingertips  

Fiscal Policy Shocks and the Dynamics of Asset Prices

Goodness C. Aye, Mehmet Balcilar, Rangan Gupta, Charl Jooste, Stephen Miller and Zeynel Ozdemir ()

Public Finance Review, 2014, vol. 42, issue 4, 511-531

Abstract: This study assesses how fiscal policy affects the dynamics of asset markets, using Bayesian vector autoregressive models. We use sign restrictions to identify government revenue and government spending shocks, while controlling for generic business cycle and monetary policy shocks. Using South African quarterly data from 1966: Q1 to 2011: Q2, we find that fiscal spending shocks affect stock prices more than house prices. Both spending and revenue shocks affect stock prices whereas only revenue shocks affect house prices.

Keywords: Bayesian sign-restricted VAR; fiscal policy; housing prices; stock prices (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1177/1091142113501713

Access Statistics for this article

More articles in Public Finance Review
Bibliographic data for series maintained by SAGE Publications ().

Page updated 2023-12-02
Handle: RePEc:sae:pubfin:v:42:y:2014:i:4:p:511-531